Wow, we done playing this?
I'm going to guess he's a misunderstood mischievous half-demon-gawd and that's his pet, guide and sometimes guardian. (a little flaming sprite that reports on his behavior and they do most of the talking and plot-pushing) He's been kicked out of hell for fornicating with satan's daughter and the only way to redeem himself is have a difficult and unlovable woman from earth fall in love with him.
Because she's been so hurt and withdrawn, no amount of charm will work, he will have to break through her emotional barriers and literally touch her soul. The big pay off is that SHE teaches him about love and eventually - it's him that becomes smitten and changes his ways.
There are two different endings depending on which final book you read. One is he fails his mission and is stripped of his horns and is left on earth where they stay together and live life as happy mortals.
The other - he fails, but sacrifices himself to save her. It's seen as an act of the truest love and he's turned into an angel. He spends him time watching over her and eventually she joins him.
Here's another cover. This one should be easy.